VGIT Options History — August 2020

In August 2020, VGIT traded between $70.33 and $70.76. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 20.9% (HV 20d: 1.7%). Net GEX was positive for 11 of 18 trading days. Term structure was in contango for 0 of 18 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-08-27: Highest Volume — 16 contracts
  • 2020-08-18: Largest IV spike — 84.5% change
  • 2020-08-31: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.49$70.33$70.76$70.76$70.48
ATM IV22.6%12.0%30.2%29.6%27.3%
Expected Move6.0%3.4%7.8%5.5%7.8%
HV 20d1.7%1.7%1.8%1.7%1.8%
Term Structure-6.1%-14.2%-1.5%-12.7%-8.6%
Skew 25d-0.7%-13.0%0.7%0.6%0.2%
Skew 10d-0.0%-14.7%1.9%0.6%1.8%
Call IV 25d26.4%12.0%36.9%23.9%36.9%
Put IV 25d25.7%11.3%37.1%24.5%37.1%
Bid-Ask Spread %198.07196.86200.00200.00196.86
Gamma HHI0.490.220.600.590.23
Net GEX-107-4.6K3.1K3.1K-2.6K
Net DEX25.8K14.2K78.1K28.5K78.1K
Net VEX-367-663-308-323-646
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.94401600
Total OI28.66726432643

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-06$70.76$0.0029.6%5.5%0.0%0.0%0.0%0.6%-12.7%3.1K28.5K-3230.00200.00N/AN/A001214
2020-08-07$70.69$0.0030.2%5.7%0.0%0.0%0.0%-0.3%-3.6%-1.2K18.4K-3470.00199.78N/AN/A101214
2020-08-10$70.67$0.0025.4%4.6%0.0%0.0%0.0%-0.6%-4.1%-31416.7K-3530.00199.58N/AN/A001314
2020-08-11$70.52$0.0021.3%5.8%0.0%0.0%0.0%-13.0%-3.6%8216.0K-3530.00198.81N/AN/A001314
2020-08-12$70.41$0.0018.2%5.2%0.0%0.0%0.0%-1.5%-3.8%-916.0K-3500.00198.10N/AN/A001314
2020-08-13$70.33$0.0020.7%5.9%0.0%0.0%0.0%0.3%-3.9%4516.3K-3480.00198.12N/AN/A001314
2020-08-14$70.38$0.0017.3%4.9%0.0%0.0%0.0%-0.1%-4.1%-90620.4K-3390.00197.94N/AN/A001314
2020-08-17$70.44$0.0012.0%3.4%0.0%0.0%0.0%-0.1%-3.1%92025.6K-3240.00197.73N/AN/A001314
2020-08-18$70.51$0.0022.1%6.3%0.0%0.0%0.0%0.2%-10.2%13129.3K-3080.00197.73N/AN/A001314
2020-08-19$70.45$0.0022.1%6.3%0.0%0.0%0.0%0.4%-5.3%5015.4K-3360.00197.72N/AN/A001314
2020-08-20$70.55$0.0022.3%6.4%0.0%0.0%0.0%0.7%-5.4%7914.2K-3340.00197.72N/AN/A001314
2020-08-21$70.56$0.0022.7%6.5%0.0%0.0%0.0%0.7%-14.2%3.1K28.5K-3090.00197.87N/AN/A001314
2020-08-24$70.51$0.0019.6%5.6%0.0%0.0%0.0%-0.2%-4.8%-3921.9K-3120.00197.70N/AN/A001314
2020-08-25$70.44$0.0020.8%6.0%0.0%0.0%0.0%0.1%-1.5%7916.1K-3200.00197.58N/AN/A001314
2020-08-26$70.44$0.0024.8%7.1%0.0%0.0%0.0%0.4%-7.2%8815.7K-3180.00197.24N/AN/A001314
2020-08-27$70.33$0.0025.1%7.2%1.7%0.0%0.0%0.1%-7.0%8517.0K-3150.00197.42N/AN/A0161314
2020-08-28$70.42$0.0025.6%7.3%1.8%0.0%0.0%-0.4%-6.7%-4.6K71.1K-6630.00197.38N/AN/A001330
2020-08-31$70.48$0.0027.3%7.8%1.8%0.0%0.0%0.2%-8.6%-2.6K78.1K-6460.00196.86N/AN/A001330